SQUIDS Seminar - Bayesian inference of discretely observed diffusions
| Dates: | 26 March 2025 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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| Who is it for: | University staff, External researchers, Current University students |
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| Speaker: | Masoumeh Dashti |
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We consider the inverse problem of recovering the diffusion and drift functions of a stochastic differential equation from discrete measurements of its solution. We show the well-definedness and stability of the Bayesian framework for this problem with respect to appropriate approximations of the underlying forward model, allowing for priors with unbounded support. Then, in the case of small-noise diffusions, we look at certain properties of Gaussian approximations of the transition densities in this context.
This is based on joint work with J-C Croix, I Kiss, S Katsarakis and T Zerenner.
Speaker
Masoumeh Dashti
Organisation: University of Sussex
Travel and Contact Information
Find event
G.113
Alan Turing Building
Manchester
